Calculate VIX ETF RollDown Value

Calculate futures contango rolldown for popular 30 day avg maturity VIX ETFs such as SVXY and XIV

To Execute

• run: python Calculate_VIX_RollDown.py

Results Summary

• The sample output looks like:

VIX: 17.48
M1: 17.4 matures 2018-03-21
M2: 17.32 matures 2018-04-18
M3: 17.33 matures 2018-05-16
Forward 28 day rolldown: -1.1%
VIX shift to flip rolldown: 17.21 ; +-0.27 ; -1.5%

• VIX denotes the current level of spot VIX
• Mn denotes the nth monthly futures expiry level and expiration date
• Forward 28 day rolldown denotes the implied rolldown over the next 28 days, based on the futures curve and SVXY/XIV construction mechanisms, and assuming the futures curve does not change w.r.t. time
• VIX shift to flip rolldown denotes the value of spot VIX, change from the current spot VIX, and change on a % basis so that implied 28 day rolldown = 0